| 基于信用评级的商业银行贷款风险定价模型 |
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| 引用本文： | 龙海明,邓太杏.基于信用评级的商业银行贷款风险定价模型[J].湖南农业大学学报(自然科学版),2007,34(2). |
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| 作者姓名： | 龙海明 邓太杏 |
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| 作者单位： | 湖南大学金融学院 湖南长沙410079 |
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| 基金项目： | 湖南省软科学计划项目(05ZK3055) |
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| 摘 要： | 建立了一个基于信用评级体系的风险定价模型.通过模型证明一笔贷款的价格不仅与借款人的预期违约率和贷款回收率有关,而且与借款人在贷款期间信用等级的变化有关.贷款的价格(利率)与借款人信用恶化的程度和发生的概率正相关.利用实际数据求出了各信用等级借款人的利率、风险价值和经济资本等参数.
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| 关 键 词： | 模型 价值分析 贷款定价 信用迁移矩阵 风险价值 |
A Credit Risk Pricing Model Based on the Credit Rating System |
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| LONG Hai-ming,DENG Tai-xing.A Credit Risk Pricing Model Based on the Credit Rating System[J].Journal of Hunan Agricultural University,2007,34(2). |
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| Authors: | LONG Hai-ming DENG Tai-xing |
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| Institution: | College of Finance, Hunan Univ, Changsha,Hunan 410079,China |
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| Abstract: | This paper establishesd a risk pricing model based on credit rating system.The analysis of the model demonstrated that the price of a loan was not only determined by the borrower''s defaults and the expected recovery of the loan,but also by the change of t |
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| Keywords: | model value analysis loan pricing credit transfer matrix value at risk |
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